Convergence rate of the truncated Milstein method of stochastic differential delay equations
Publication:2009593
DOI10.1016/j.amc.2019.04.001zbMath1429.65026OpenAlexW2939991523MaRDI QIDQ2009593
Publication date: 29 November 2019
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2019.04.001
strong convergencelocal Lipschitz conditionstochastic differential delay equationKhasminskii-type conditiontruncated Milstein method
Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (6)
Cites Work
- Khasminskii-type theorems for stochastic functional differential equations
- Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
- The truncated Euler-Maruyama method for stochastic differential equations
- Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions
- Generalised theory on asymptotic stability and boundedness of stochastic functional differential equations
- Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
- Higher-order implicit strong numerical schemes for stochastic differential equations
- Almost sure exponential stability of neutral stochastic differential difference equations
- Strong convergence of the partially truncated Euler-Maruyama method for a class of stochastic differential delay equations
- An analysis of stability of Milstein method for stochastic differential equations with delay
- Numerical Solutions of Neutral Stochastic Functional Differential Equations
- Approximate solutions for a class of stochastic evolution equations with variable delays
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
- The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
- The Milstein Scheme for Stochastic Delay Differential Equations Without Using Anticipative Calculus
- Stochastic Differential Equations with Markovian Switching
- Khasminskii-Type Theorems for Stochastic Differential Delay Equations
- Mathematical analysis II. Transl. from the 4th Russian edition by Roger Cooke
This page was built for publication: Convergence rate of the truncated Milstein method of stochastic differential delay equations